英文标题：
《High-order compact finite difference schemes for option pricing in
stochastic volatility models on non-uniform grids》
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作者：
Bertram D\\\"uring, Michel Fourni\\\'e, Christof Heuer
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最新提交年份：
2014
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英文摘要：
We derive high-order compact finite difference schemes for option pricing in stochastic volatility models on non-uniform grids. The schemes are fourth-order accurate in space and second-order accurate in time for vanishing correlation. In our numerical study we obtain high-order numerical convergence also for non-zero correlation and non-smooth payoffs which are typical in option pricing. In all numerical experiments a comparative standard second-order discretisation is significantly outperformed. We conduct a numerical stability study which indicates unconditional stability of the scheme.
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中文摘要：
我们推导了非均匀网格上随机波动率模型中期权定价的高阶紧致差分格式。这些格式在空间上是四阶精度的，在时间上是二阶精度的。在我们的数值研究中，我们还得到了期权定价中典型的非零相关性和非光滑收益的高阶数值收敛性。在所有的数值实验中，比较标准的二阶离散化方法的性能明显优于标准的二阶离散化方法。我们进行了数值稳定性研究，结果表明该格式是无条件稳定的。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Computational Finance 计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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一级分类：Mathematics 数学
二级分类：Numerical Analysis 数值分析
分类描述：Numerical algorithms for problems in analysis and algebra, scientific computation
分析和代数问题的数值算法，科学计算
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